Search found 21 matches
- Fri Apr 01, 2011 5:11 am
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5188
- Thu Mar 31, 2011 2:22 pm
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5188
- Thu Mar 31, 2011 11:21 am
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5188
lol @ sarcasm, fair enuff ;-) ..... BUT I WANT WANT WANT quick easy fixes/hacks..... writing a custom slippage block is sooo far down the to-do-list that it isn't even funny. OK I'm going to try and think for myself here, so please be patient with me..... I should imagine that 1-5 above are going to...
- Thu Mar 31, 2011 4:25 am
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5188
Thanks sluggo, I did see that, it does seem useful. Fwiw I'm trading stocks, so sometimes I will only trade an instrument once, hence I haven't looked closely until now. Nonetheless, I guess in theory using ATR/volatility based slippage would overcome my above calculation problem. However, at this p...
- Wed Mar 30, 2011 4:39 pm
- Forum: Testing and Simulation
- Topic: How to calculate actual slippage from real life results?
- Replies: 8
- Views: 5188
How to calculate actual slippage from real life results?
I want to derive a meaningful value to plug back into TB from my actual trading data. TB defines the slippage as the percentage of the OrderFill from the OrderPrice to the DaysHigh: Slippage % = (ActualFill - OrderPrice) / (High - OrderPrice) * 100 Which is all when and good. I can then calculate my...
- Thu Dec 10, 2009 3:20 pm
- Forum: Stocks
- Topic: Help with auction orders on IB?
- Replies: 5
- Views: 7844
- Thu Dec 10, 2009 9:51 am
- Forum: Stocks
- Topic: Help with auction orders on IB?
- Replies: 5
- Views: 7844
- Thu Dec 10, 2009 6:13 am
- Forum: Stocks
- Topic: Help with auction orders on IB?
- Replies: 5
- Views: 7844
- Mon Dec 07, 2009 4:17 pm
- Forum: Stocks
- Topic: Help with auction orders on IB?
- Replies: 5
- Views: 7844
Help with auction orders on IB?
The opening auction provides the best prices for my strategy. I have attempted to enter the auction on IB using exchange:ARCA and order type of AUC. I have tried both limit and market orders.
They always get cancelled at the market open. IB aren't being much help. Any ideas?
They always get cancelled at the market open. IB aren't being much help. Any ideas?
- Tue Jul 14, 2009 6:04 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
- Fri Jul 10, 2009 6:19 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
Funnily enough, the first (and probably last....) epiphany I have ever had with regard to trading was when I noticed the fat tail effect. I remember getting really excited, ranting at my wife whilst drawing graphs in the air, lol. It's interesting how coming at the problem from a gambling background...
- Thu Jul 09, 2009 5:03 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
Don't worry, no disrespect taken. I agree with everything you are saying to some extent - I'm pretty sceptical of everything, including my own beliefs (and yours). I'm sure you realise that I am playing devils advocate to try and understand the issues better. Could we not re-write your last post, bu...
- Wed Jul 08, 2009 9:39 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
For the entire 1989-1991 out of sample period, the accuracy was 53.06 percent winners, and the average annual return was 14.96 percent -- less than that of a buy-and-hold strategy, which would have earned a 18.46 percent average annual return over the same period. I'm not a big fan of these drag-ne...
- Wed Jul 08, 2009 8:42 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
- Wed Jul 08, 2009 7:27 am
- Forum: Testing and Simulation
- Topic: Cats out of the BAG LTTF VS SWINGING
- Replies: 34
- Views: 39636
Re: Cats out of the BAG LTTF VS SWINGING
Why were these posts deleted? The cat may be out of the bag, but I can't see it!RedRock wrote:deleted
- Wed Jul 08, 2009 7:00 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
Question: Why would you think this stock's price doesn't already reflect all of this stuff? Because I would be thinking that, for a variety of reasons, markets aren't terribly efficient? Couldn't we ask the same question of e.g. trend following? In fact, could some trends be related to periods of p...
- Wed Jul 08, 2009 5:22 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
- Tue Jul 07, 2009 8:44 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540
- Mon Jul 06, 2009 1:08 pm
- Forum: Testing and Simulation
- Topic: Question for Trading Blox users
- Replies: 14
- Views: 10661
- Mon Jul 06, 2009 12:48 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 51540